Trading Fractional Brownian Motion (Q4971980)
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scientific article; zbMATH DE number 7135137
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Trading Fractional Brownian Motion |
scientific article; zbMATH DE number 7135137 |
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Trading Fractional Brownian Motion (English)
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22 November 2019
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fractional Brownian motion
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transaction costs
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price impact
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trading
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asymptotically optimal strategies
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expected terminal wealth
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Gaussian processes with long memory
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self-similar processes
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